KIEV, Ukraine — Russia scrambled fighter jets to patrol its border and reportedly gave shelter to Ukraine's fugitive president as pro-Russian gunmen stormed offices of Ukraine's strategic region of Crimea, deepening the crisis for the new Ukrainian government even as it was being formed.

The moves pose an immediate challenge to Ukraine's new authorities as they seek to set up an interim government for the country, whose population is divided in loyalties between Russia and the West. Ukraine's new prime minister said the country's future lies in the European Union but with friendly relations with Russia. Moscow, meanwhile, has launched a massive military exercise involving 150,000 troops and put fighter jets on patrol along the border.

A respected Russian news organization reported that the fugitive president, Viktor Yanukovych, who was driven out of Kiev by a three-month protest movement, was staying in a Kremlin sanatorium just outside Moscow.

"I have to ask Russia to ensure my personal safety from extremists," Yanukovych said in a statement carried by Russian news agencies on Thursday. He said he still considers himself president and sees the new Ukrainian authorities as illegitimate.